Ah, I said format didn't I? Well, that's not really the best way to put it.
It's essentially true, as I was thinking more about lossless, but a more eloquent way of putting it would be to refer to the bit-rate you are using. And, in most cases, the software you are using to convert. However, it is said that AAC sounds 'better' than the equivalent MP3 but I've never really sat down and studied it.
If you rip to, say, an 256 kbit/s VBR MP3 using one of the better pieces of software, most people wouldn't be able to tell the difference between that and CD quality. Hell, most people wouldn't even spot 192 or even 160 in some cases. But there are certain 'tell-tale' signs that you've used compression, especially when dealing with electronic/dance music.
But it's all really down to the individual and how good their ears are. I fill my iPod with lossless files because I want my music to sound as good as it does off the CD. If I have to use MP3 I'll go for the highest bit-rate I can possibly get away with, converted with the best software I know of.